Convert particle system to animated meshes
I think the only way to do it is with some Python scripting. First select the object you want to show in place of the particles (dupli object) and then select the object with the particle system. Then run the following script. But be aware, it can get quite slow if you have lots of particles (for 5000 particles and Suzanne as dupli object, it took almost 4 minutes on my computer).

import bpy

# Set these to False if you don't want to key that property.
KEYFRAME_LOCATION = True
KEYFRAME_ROTATION = True
KEYFRAME_SCALE = True
KEYFRAME_VISIBILITY = True  # Viewport and render visibility.

def create_objects_for_particles(ps, obj):
    # Duplicate the given object for every particle and return the duplicates.
    # Use instances instead of full copies.
    obj_list = []
    mesh = obj.data
    for i, _ in enumerate(ps.particles):
        dupli = bpy.data.objects.new(
                    name="particle.{:03d}".format(i),
                    object_data=mesh)
        bpy.context.scene.objects.link(dupli)
        obj_list.append(dupli)
    return obj_list

def match_and_keyframe_objects(ps, obj_list, start_frame, end_frame):
    # Match and keyframe the objects to the particles for every frame in the
    # given range.
    for frame in range(start_frame, end_frame + 1):
        bpy.context.scene.frame_set(frame)
        for p, obj in zip(ps.particles, obj_list):
            match_object_to_particle(p, obj)
            keyframe_obj(obj)

def match_object_to_particle(p, obj):
    # Match the location, rotation, scale and visibility of the object to
    # the particle.
    loc = p.location
    rot = p.rotation
    size = p.size
    if p.alive_state == 'ALIVE':
        vis = True
    else:
        vis = False
    obj.location = loc
    # Set rotation mode to quaternion to match particle rotation.
    obj.rotation_mode = 'QUATERNION'
    obj.rotation_quaternion = rot
    obj.scale = (size, size, size)
    obj.hide = not(vis)
    obj.hide_render = not(vis)

def keyframe_obj(obj):
    # Keyframe location, rotation, scale and visibility if specified.
    if KEYFRAME_LOCATION:
        obj.keyframe_insert("location")
    if KEYFRAME_ROTATION:
        obj.keyframe_insert("rotation_quaternion")
    if KEYFRAME_SCALE:
        obj.keyframe_insert("scale")
    if KEYFRAME_VISIBILITY:
        obj.keyframe_insert("hide")
        obj.keyframe_insert("hide_render")

def main():
    # Assume only 2 objects are selected.
    # The active object should be the one with the particle system.
    ps_obj = bpy.context.object
    obj = [obj for obj in bpy.context.selected_objects if obj != ps_obj][0]
    ps = ps_obj.particle_systems[0]  # Assume only 1 particle system is present.
    start_frame = bpy.context.scene.frame_start
    end_frame = bpy.context.scene.frame_end
    obj_list = create_objects_for_particles(ps, obj)
    match_and_keyframe_objects(ps, obj_list, start_frame, end_frame)

if __name__ == '__main__':
    main()